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Pierre-Olivier Weill

Institution

UCLA

PhD Year

2004

poweill@gmail.com

FTG Membership

Senior Member

Website

http://sites.google.com/site/pierreolivierweill/

Featured Work

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Mar 29, 2021

Johan Hombert, Pierre-Olivier Weill

Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with Optimal Transport methods. Moreover,...

A Theory of Participation in OTC and Centralized Markets

Apr 9, 2019

Pierre-Olivier Weill

Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we consider a model of equilibrium and socially optimal market participation of heterogeneous banks in an OTC market, in a centralized market, or in both markets at the same time. We find that banks have the strongest private incentives to participate in the OTC market if they have...